ameriprise april_Invested_Asset_FINALpm1
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ameriprise april_Invested_Asset_FINALpm1 ameriprise april_Invested_Asset_FINALpm1 Presentation Transcript

  • Appendix – as of 03/31/2008 Investment portfolio as of 03/31/2008 Financial Guarantors - $686 million of total exposure • No wrapped transactions, no direct investments in guarantors, no exposure to guarantors in the Ameriprise liquidity facilities • Investment decisions based on the integrity of the underlying cash flows • $563 million of enhanced municipal securities – Enhanced securities comprise almost 50% of the municipal market • $123 million of enhanced asset back securities
  • Appendix – as of 03/31/2008 Structured asset portfolio - $10.1 billion • $6.2 billion RMBS, $2.9 billion CMBS, $1.0 billion ABS Residential mortgage backed securities portfolio of $6.2 billion is 97% AAA-rated • Agency mortgage exposure totals $4,544 million – Stable prepayment profile with less negative convexity and interest rate sensitivity than the MBS index – Portfolio has a higher coupon bias which should perform well in a rising interest rate environment • Prime mortgage exposure totals $516 million – $421 million is AAA-rated and $95 million is AA- rated
  • Appendix – as of 03/31/2008 Residential mortgage backed securities (cont’d) • Alt A exposure is $1,095 million – $984 million is AAA-rated, $104 million AA-rated and $7 million A-rated – Majority of Alt-A holdings are “super senior” bonds » Greater credit enhancement than required to get a AAA rating – Market value of 81% of book as of 03/31/2008
  • Appendix – as of 03/31/2008 Commercial mortgage backed securities portfolio - $2.9 billion exposure • Entirely AAA-rated • Seasoned collateral, predominantly 2005 or earlier vintages – Lower delinquency rates than the overall CMBS market • Market value of 99% of book as of 3/31/2008 Asset backed securities portfolio - $1.0 billion exposure • 94% AAA-rated • $437 million are securitized small business loans backed by the full faith and credit of the US government. • $347 million - primarily credit cards, automobile loans, and student loans, 89% AAA-rated.
  • Appendix – as of 03/31/2008 Asset backed securities portfolio (cont’d) • $247 million of securities back by subprime residential mortgages, less than 1% of the Ameriprise portfolio – $221 million are senior AAA-rated tranches, $16 million are AA-rated, and $10 million are BBB-rated – High quality exposure - short duration, with limited negative convexity – Market value of 90% of book as of 3/31/2008 Commercial real estate - $3.1 billion exposure • Average loan to value ratio of 54% • Solid weighted average debt service coverage ratio of 1.82x • No delinquencies over the past year
  • Appendix – as of 03/31/2008 Corporate credit - $13.5 billion exposure • Investment grade portfolio is highly diversified and well positioned with a preference toward non-cyclicals and a bias toward regulated industries and asset rich-companies • High yield portfolio includes $1.5 billion in below investment grade bonds and $0.3 billion in bank loans, comprising 5% of the investment portfolio – Highly diversified with a focus on credits that can generate free cash flow through economic cycles • Homebuilders - $168 million exposure – As of 03/31/2008, unrealized losses on homebuilders were $30 million